Identification both of the unknown plant and noise parameters of the K aim an filter†

DOI10.1080/00207728008967048zbMath0447.93050OpenAlexW2093915797MaRDI QIDQ3893788

Tak Kuen Siu, Cornelius T. Leondes

Publication date: 1980

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728008967048

zbMATH Keywords

stochastic approximationKalman filter

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12)

Cites Work

• Stochastic processes and filtering theory
• An uncoupling method for linear system identification
• Identification of optimum filter steady-state gain for systems with unknown noise covariances
• On innovation sequence testing of the Kalman filter
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